What’s an acceptable max DD for a strategy?

Discussion in 'Strategy Development' started by macintash, Jan 21, 2013.

  1. Let’s assume you have a strategy that produces 50% return (without any leverage) with an expected 10% max DD. Now if you double the size, return would go up quite a bit but so will the DD. The question is what should be the right balance. Obviously you don’t want to have 1000% returns and a 100% DD..
  2. there is no change in corrolation by varying size up to 5 times market capacity.
  3. So your suggestion is 5X leverage with a 50% DD?
  4. any opinions here?
  5. Sorry I wasn't clear.

    50% and 10% are in a constant unvarying corrolation.

    For any size thai remains the same.

    I posted a trading size limit. Size means the number of contracts being traded.

    If you see the capacity the market attains as a value, then that value you know is being traded in bunches of consecutive blocks on the T&S.

    As a trading participant in that market, you personally can be holding a position 5X this value of contracts for the capacity.

    When I am holding such a position where the market capacity is 1/5 of my position, then to reverse (Ido not do entry/exit skill level of trading) I do several partial fills with market trades to complete my reversal. They will not appear as consecutive trades on the T&S, either.

    I did not suggest 250 and 50 to you (you mentioned a 50% for DD)
  6. lol rly?

    You seem to be quite the expert on correlation. Is that Cyrillic?
  7. That's ok Jack,shit happens.I got a remedy for you.Take each post,reprint it 50 times minimum,scan and the post it.Then I'll try to point you what was wrong.
  8. here you go:

    "there is no change in corrolation by varying size up to 5 times market capacity."

    give it a shot.
  9. almost. My bad.
  10. Oh,it's simple,Jack.It just means Buy low and Sell high.Am I correct?
    #10     Jan 22, 2013